I just got my new Arduino Duemilanove Atmega 328 today. I followed the Getting Started Guide on the website. I downloaded the drivers, and the IDE. When I plugged my Arduino in the LED started just flashing (orange) in a pattern of three short flashes then a pause.
It's generally a good idea to not only tell them, but also to tell them why.
The 3 flashes is the Arduino bootloader, basically letting you know it's alive!
In the future, if the LED stays constantly lit, even after a Reset, and you're not allowed to upload to the board.. that means you need to burn a new bootloader. (the bootloader is just basically a "program" on the chip, if you will, that allows you to upload to the Arduino using a Serial connection. Without the bootloader, you would have to use a programmer to program the board, which is another $20 at least.)